October 20, 2018

RiskVal Fixed Income (RVFI) Release – 10/19/2018

In this week’s RVFI release, RiskVal made various additions to Bond/Future Spreads & Butterflies Monitor. New customizable columns now allow traders to map each individual cell to any other column. We added the Predicted FHT to the OIS YY Spread, OIS Z- spread and Invoice OIS Spread. In the GBP Bond/Future Spreads & Butterflies Monitor sheet, there is now support for SONIA futures: ONS, SOO, and MPC.  For the Gap Analysis function, we have added the DV01 and Forward DV01 columns to allow traders to calculate the expected return using carry and roll down. USD TBill Ted Sheet was also enhanced to give users ability to add two customizable “0 spread” columns in the USD TBill Ted sheet.

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